Archive for the ‘Eurodollar Options’ Category
Bad news keeps coming. Ruby Tuesday files for bankruptcy
October 7, 2020 –Powell continues to make the case for more stimulus to support the economy. Pelosi and Mnuchin are in endless talks to bridge the gap. Trump finally tweets that talks will be halted until after the election. I don’t know what the exact sticking points are, but federal aid to states for pension […]
Curve getting ahead of Fed
October 6, 2020 –Yields surged yesterday, led by the long end. Thirty year bond up 8.4 bps to 1.564% in front of Thursday’s auction (3s and 10s today and tomorrow). The ten year note rose 6.6 to 76 bps. SPX rose 1.8% as Trump strolled out of the hospital. Polls show Biden well ahead in […]
Strange days and trades
October 5, 2020 –Nothing particularly exciting about the payroll report; Trump’s covid ordeal is the dominant news story. On Friday the ten year yield rose 1.5 to 69.4 and thirties rose 2.3 to 1.48%. Both are being auctioned this week, with the three year note kicking off tomorrow. The curve steepened, with 5/30 ending at […]
Singing the blues
Weekly Comment – October 4, 2020 It starts as a little hum and then transforms into a full blown song. Short note this week, focused mainly on flows into deferred (blue and gold) midcurve puts. On the euro$ curve, blues are the fourth year forward and golds are the fifth year. In early 2019, the […]
Payroll Friday
October 2, 2020 –Headlines this morning say the market has been “rattled” by the President and First Lady testing positive for covid, but so far, ESZ and NQZ haven’t even approached Wednesday’s lows. Not much of a rattle. As of this writing treasuries have barely moved with TYZ 139-20 vs a settle of 139-175. What […]
Hints of a steeper curve
October 1, 2020 –Yields firmed and the curve steepened as stocks continued their ascent after a post-debate hiccup. Ten year yield up 3.1 bps to 67.7. Thirties up 4.4 to 145.4. 5/30 spread notched a new recent high at 118.4 bps (as the 2y was unch’d at 12.3 bps). Red/gold euro$ pack spread (2nd to […]
Vote Udgodskava
Sept 30, 2020 “When no one in the village signed up to challenge Nikolai Loktev, who’s from the pro-Kremlin United Russia party, he persuaded Ms Udgodskava [the cleaning woman of the local administration building] to register as his ‘rival’ to ensure the minimum requirement of two candidates. That plan backfired when the cleaner beat him […]
In: Eurodollar Options
What turn?
Sept 29. 2020 –Eurodollar and treasury prices were barely changed yesterday, although front contracts which cover the turn are still showing notable strength. October ED contract settled 9978.25 or a rate of 21.75 bps (which essentially equates to last week’s lowest ever libor setting), and EDZ0 settled up 1 at 9974.5. Today’s libor setting will […]
In: Eurodollar Options
Looking for a Constant
Sept 27. 2020 – Weekly Comment Looking for a constant Weekly Comment – September 27, 2020 Alex Manzara/ RJO-Interest Rate Strategy and Execution/ amanzara@rjobrien.com Two mathematicians go to lunch, and get into an argument about the knowledge of the American public. The first one says: “The average person is, mathematically, an idiot. People don’t know […]
In: Eurodollar Options
Rates locked
September 25, 2020 –Once again activity in rates is moribund. Tens closed at a yield of 66.4; the range has been between 64.5 and 69.5 for the past ten sessions. October treasury options expire today. –After perhaps reading too much into the EDZ0/EDH1 sale Wednesday at -6.5, to my consternation someone paid -6 and -5.5 for […]
In: Eurodollar Options
